Campaign Monitor doesn't have this kind of one-time suppression list, but if you can add a custom field, and fill it with a value for everyone who has already subscribed (just reimport into the same list with the extra field), then you could create a segment to target the remaining people.

So you'd have an 'enteredContest' field, and everyone who had entered would have a value of 'yes' for that field.

See http://www.campaignmonitor.com/resources/entry/1695/creating-and-using-segments/ for help with the segmenting part.